I actually had the same problem back when I came back to the game. Running a dual-monitor setup here and playing in windowed was much better for me. Couldn't get it to work from the config menu either so I asked Zach ingame to walk me through the steps in case I was doing something wrong. Turns out windowed mode doesn't work on all setups, why I don't know.

The best thing I was able to achieve was windowed fullscreen -- that is the game runs in a window but it is sized so as to appear as fullscreen, the borders are just outside of the display area.

You can activate this mode by adding a launch parameter, works with any client.

Steam: right click the game in the library, select Properties, then set launch options.... In the window that appears type -windowed

Desura: From the game list right click DoF and select Properties. In the User Launch Options type -windowed

Standalone (Windows): select the game shortcut you use to run the game, right click and select Properties. In the Target field you will see something like "C:\some path\Dawn of Fantasy\DoF.exe". At the end of the path (outside the "") put a space and type -windowed so it looks like this:

"C:\some path\Dawn of Fantasy\DoF.exe" -windowed

This should make the game run (at the very least) in windowed fullscreen. You might get lucky and it might make it a regular window (which is what it's supposed to do, according to Zach) but again, on some systems it plays up (like mine).